Researchers used a computer to simulate the random stock-picking abilities of a monkey and pitted these random choices against a traditional market capitalisation weighted index, and the monkey won every time.
The study, from the Cass Business School at City University of London, looked at monthly U.S. share data from 1968 to 2011. Researchers found that nearly all indices weighted by chance delivered significantly higher returns than the "market cap" approach where the percentage of a stock allocated to an index is weighted according to a firm’s size.